THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE

DOI10.1142/S0219024916500205zbMath1337.91115MaRDI QIDQ2806367

Shiyu Song, Guangli Xu, Yong Jin Wang

Publication date: 17 May 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

spectral expansiontransition densityfirst hitting timetarget zoneforeign exchange rateskew CIRbarrier and one-touch options

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ A simple trinomial lattice approach for the skew-extended CIR models ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

Cites Work

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• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
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• SELF EXCITING THRESHOLD INTEREST RATES MODELS
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
• A Jump‐diffusion Model for Exchange Rates in a Target Zone

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